Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 8 | 10 | 9 |
| Score | 3.96 | 8.94 | 5.8 |
| Market Cap (Millions USD) | 981.87 | 949.94 | 909.63 |
| Predicted Beta | 1.5 | 1.45 | 1.48 |
| Idiosyncratic Volatility | 5.39 | 4.9 | 7.25 |
Annualized return and volatility
| IDU | |
|---|---|
| Annualized Return | 0.0780 |
| Annualized Std Dev | 0.1779 |
| Annualized Sharpe (Rf=0%) | 0.4383 |
Row
Daily Return Statistics
| IDU | |
|---|---|
| Observations | 4994.0000 |
| NAs | 120.0000 |
| Minimum | -0.0870 |
| Quartile 1 | -0.0049 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0062 |
| Maximum | 0.0971 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0112 |
| Skewness | -0.1290 |
| Kurtosis | 8.7791 |
Downside Risk
| IDU | |
|---|---|
| Semi Deviation | 0.0082 |
| Gain Deviation | 0.0076 |
| Loss Deviation | 0.0087 |
| Downside Deviation (MAR=210%) | 0.0129 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.5388 |
| Historical VaR (95%) | -0.0170 |
| Historical ES (95%) | -0.0270 |
| Modified VaR (95%) | -0.0165 |
| Modified ES (95%) | -0.0262 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-29 | 2002-10-09 | 2005-06-22 | -0.5388 | 1145 | 452 | 693 |
| 2007-12-11 | 2009-03-09 | 2012-06-18 | -0.4778 | 1157 | 320 | 837 |
| 2015-01-30 | 2015-09-04 | 2016-03-08 | -0.1620 | 283 | 155 | 128 |
| 2017-11-15 | 2018-02-08 | 2018-10-19 | -0.1530 | 238 | 59 | 179 |
| 2016-07-07 | 2016-11-11 | 2017-03-22 | -0.1208 | 181 | 92 | 89 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IDU | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 0.0 | 0.5 | 0.0 | 1.5 | -0.4 | 0.0 | 1.7 |
| 2001 | -1.3 | 0.6 | 0.0 | -0.3 | -0.8 | 0.0 | 0.7 | 0.0 | 0.4 | -0.1 | 0.0 | 0.0 | -0.7 |
| 2002 | 0.7 | 1.4 | -0.7 | 0.1 | 0.0 | -2.1 | -2.0 | 0.0 | 2.7 | 0.3 | 0.0 | 0.0 | 0.4 |
| 2003 | 0.0 | 0.0 | 0.8 | -0.7 | 0.0 | -0.4 | -1.4 | 0.0 | 0.7 | 0.0 | 0.8 | 0.0 | -0.2 |
| 2004 | 0.0 | 1.0 | 0.4 | 0.0 | -0.5 | -0.9 | 0.0 | 0.2 | 0.8 | 0.6 | -0.6 | 0.0 | 1.1 |
| 2005 | 0.9 | 0.5 | 0.4 | 0.0 | 1.0 | 1.0 | -1.0 | 1.3 | 0.0 | -1.8 | 0.9 | 0.0 | 3.3 |
| 2006 | 0.1 | -0.1 | 0.0 | -0.7 | 1.2 | 0.0 | 1.0 | 0.0 | 0.0 | 0.5 | 0.4 | 0.0 | 2.3 |
| 2007 | 0.8 | 0.4 | 0.0 | 1.0 | -0.4 | 0.0 | 2.6 | 0.0 | 1.5 | -1.9 | 0.0 | 0.0 | 4.0 |
| 2008 | 1.6 | 0.0 | 2.2 | 1.0 | 0.0 | 0.6 | -2.5 | 0.0 | 0.9 | 0.0 | -6.7 | 0.0 | -3.1 |
| 2009 | 0.0 | 0.0 | -0.2 | 2.0 | 3.3 | 1.6 | 0.0 | -0.8 | -1.8 | 0.0 | 1.6 | 0.0 | 5.7 |
| 2010 | 0.8 | 1.2 | 1.1 | 0.0 | -2.2 | -0.3 | 0.0 | 2.3 | 0.7 | -0.9 | 1.2 | 0.0 | 3.9 |
| 2011 | 1.1 | -0.7 | 0.7 | 0.0 | -1.0 | 1.2 | 0.3 | -0.4 | 0.0 | -2.2 | 0.0 | 0.0 | -1.0 |
| 2012 | 0.4 | 0.2 | 0.0 | 0.5 | -0.5 | 0.0 | -0.8 | 0.0 | -0.4 | -0.8 | 0.0 | 0.0 | -1.4 |
| 2013 | 0.4 | 0.2 | -0.2 | -1.1 | 0.0 | -1.3 | 0.9 | 0.0 | 0.4 | 0.6 | 0.0 | 0.0 | -0.1 |
| 2014 | 0.0 | 0.0 | -0.6 | 0.4 | 0.0 | -0.9 | 0.4 | 0.0 | 0.4 | 0.0 | 0.0 | 0.0 | -0.4 |
| 2015 | 0.0 | 0.0 | 0.1 | 0.5 | 0.2 | 0.5 | 0.0 | -2.7 | -1.1 | 0.0 | 0.7 | 0.0 | -1.9 |
| 2016 | 1.0 | -0.4 | 0.5 | 0.0 | 0.3 | -0.1 | -0.1 | -0.4 | 0.0 | -1.9 | -0.8 | 0.0 | -1.8 |
| 2017 | -1.8 | -0.8 | 0.0 | -0.5 | 0.7 | 0.0 | 0.5 | -0.2 | 0.0 | -0.7 | -0.4 | 0.0 | -3.1 |
| 2018 | -1.6 | 0.1 | 0.0 | -0.3 | -1.5 | 0.0 | -0.8 | 0.0 | -0.4 | -0.3 | 0.0 | 0.0 | -4.7 |
| 2019 | -0.3 | 0.3 | -0.6 | -1.0 | 0.0 | -0.2 | 0.9 | 0.0 | -0.3 | -0.2 | 0.0 | 0.1 | -1.3 |
Row
Rolling Performance Chart
Snail Trail Chart
